A least squares estimator for Lévy-driven moving averages based on discrete time observations

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Cites work

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A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric -stable motions
Approximations of small jumps of Lévy processes with a view towards simulation
Asymptotic properties of a maximum likelihood estimator with data from a Gaussian process
Central limit theorems for additive functionals of Markov chains.
Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
Correlation cascades, ergodic properties and long memory of infinitely divisible processes
Dynamic models of long-memory processes driven by Lévy noise
Empirical likelihood estimation of discretely sampled processes of OU type
Estimation for Lévy processes from high frequency data within a long time interval
Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
Fixed-domain asymptotic properties of tapered maximum likelihood estimators
Fractional Lévy processes with an application to long memory moving average processes
Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
Inconsistent Estimation and Asymptotically Equal Interpolations in Model-Based Geostatistics
Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
Lévy driven moving averages and semimartingales
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
Nonparametric estimation for pure jump Lévy processes based on high frequency data
Nonparametric estimation of time-changed Lévy models under high-frequency data
Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
On roughness indices for fractional fields
On the functional central limit theorem via martingale approximation
Parametric Estimation for Subordinators and Induced OU Processes
Processes of normal inverse Gaussian type
Sieve-based confidence intervals and bands for Lévy densities
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Statistical inference for time-changed Lévy processes via composite characteristic function estimation
Superposition of Ornstein-Uhlenbeck type processes

Cited in

(12)

Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes
On operator fractional Lévy motion: integral representations and time-reversibility
On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence
A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process
On fractional Lévy processes: tempering, sample path properties and stochastic integration
Model verification for Lévy-driven Ornstein-Uhlenbeck processes
Multidimensional parameter estimation of heavy-tailed moving averages
Low-frequency estimation of continuous-time moving average Lévy processes
Empirical likelihood methods for discretely observed Gaussian moving averages
A note on parametric estimation of Lévy moving average processes
Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
Kernel estimation for Lévy driven stochastic convolutions

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